Risk Analyst (Margin Models)

As a Risk Analyst (Margin Models) in the Risk Surveillance Branch, you will: Draft documents describing margin methodologies used, or proposed, by registered central counterparty clearinghouses (CCPs) in both high-level overviews as well as more detailed narratives; Evaluate margin models used for a diverse set of derivatives products, including models for futures, options on futures, and over-the-counter (OTC) derivatives such as credit default and interest rate swaps; Develop and build prototypes of margin models, or components of margin models, to determine if they appropriately reflect underlying product risk. In addition to these prototypes, analysts would perform statistical analysis such as stochastic process modeling, multi-variate distributions, value-at-risk, expected shortfall, etc., to evaluate the effectiveness of margin models; Use financial and statistical software programs such as MATLAB, R, Python and/or SAS to value and stress test futures and OTC derivatives (e.g. ra